A secure key exchange with mutual authentication allows devices on a network to perform, in a single roundtrip over the network, the exchange. A key exchange initiator packet that does not include a key to be established is sent from an initiating device to another device via a network. The key exchange initiator packet is validated and the other device generates the key without requiring any additional packets to be received from the initiating device in order to generate the key. A key exchange response packet that does not include the key is returned to the initiating device, which validates the key exchange response packet and generates the key without requiring any additional packets to be sent to the other device or received from the other device.